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Observation strategy for a parallel connection of discrete-time linear systems

Author

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  • Carotenuto, L.
  • Muraca, P.
  • Raiconi, G.

Abstract

The problem of optimizing the observation structure of a complex stochastic linear discrete system is considered. The system consists of p single-output linear subsystems excited by uncorrelated noises: the output of the overall system is a linear, possibly time-varying transformation of the outputs of the subsystems. The aim is to find, for each time k, the transformation that, given the covariance of the filtered estimate at time k -1, minimizes a suitable measure of the estimation error at time k. The problem is solved by using some results from fractional programming: it turns out that one subsystem must be observed, the decision rule being extremely simple. Several numerical experiments are reported: they show that iterative application of the selection rule leads to a periodic (or constant) output transformation to which a periodic (or constant) error covariance matrix corresponds.

Suggested Citation

  • Carotenuto, L. & Muraca, P. & Raiconi, G., 1988. "Observation strategy for a parallel connection of discrete-time linear systems," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 30(5), pages 389-403.
    • Handle: RePEc:eee:matcom:v:30:y:1988:i:5:p:389-403
    DOI: 10.1016/0378-4754(88)90053-5
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    References listed on IDEAS

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    1. Schaible, Siegfried & Ibaraki, Toshidide, 1983. "Fractional programming," European Journal of Operational Research, Elsevier, vol. 12(4), pages 325-338, April.
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